COVID-19 and bond market liquidity: alert, isolation and recovery Staff Analytical Note 2020-14 Jean-Sébastien Fontaine, Hayden Ford, Adrian Walton The disruption due to COVID-19 reverberated through the bond markets in three phases. In the first phase, dealers met the rising demand for liquidity. In the second, dealers reduced the supply of liquidity, and trading conditions worsened significantly. Finally, the market returned to relative stability following several interventions by the Bank of Canada. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Coronavirus disease (COVID-19), Financial markets, Monetary policy JEL Code(s): E, E4
Saving after Retirement and Preferences for Residual Wealth Staff Working Paper 2024-21 Giulio Fella, Martin B. Holm, Thomas Michael Pugh We estimate a model of households in Norway with bequest motives, health-dependent utility, and uncertain longevity and health. Our estimates imply strong bequest motives for households both with and without offspring. We interpret this as suggestive evidence that utility from residual wealth represents forces beyond an altruistic bequest motive. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Housing, Labour markets JEL Code(s): D, D1, D11, D12, D14, E, E2, E21
Electronic Money and Payments: Recent Developments and Issues Staff Discussion Paper 2014-2 Ben Fung, Miguel Molico, Gerald Stuber The authors review recent developments in retail payments in Canada and elsewhere, with a focus on e-money products, and assess their potential public policy implications. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Digital currencies and fintech, Financial services, Payment clearing and settlement systems JEL Code(s): E, E4, E41, E42
Monetary Policy under Model and Data-Parameter Uncertainty Staff Working Paper 2005-6 Gino Cateau Policy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58
Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis Staff Working Paper 2000-4 Ramdane Djoudad, David Tessier This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): F, F3, F31
The Role of Financial Speculation in Driving the Price of Crude Oil Staff Discussion Paper 2011-6 Ron Alquist, Olivier Gervais Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically. Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics JEL Code(s): G, G1, G12, Q, Q4, Q41
Agency Costs, Risk Shocks and International Cycles Staff Working Paper 2016-2 Marc-André Letendre, Joel Wagner We add agency costs as in Carlstrom and Fuerst (1997) into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E2, E22, E3, E32, E4, E44, F, F4, F44
A Micro Approach to the Issue of Hysteresis in Unemployment: Evidence from the 19881990 Labour Market Activity Survey Staff Working Paper 1997-12 Gordon Wilkinson This paper uses a rich set of microeconomic labour market data—the 198890 Labour Market Activity Survey published by Statistics Canada—to test whether there is negative duration dependence in unemployment spells. It updates and extends similar work carried out by Jones (1995) who used the 198687 Labour Market Activity Survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24
Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis Staff Working Paper 2013-25 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, G, G1, G15, Q, Q4, Q43
Frictional Capital Reallocation I: Ex Ante Heterogeneity Staff Working Paper 2019-4 Randall Wright, Sylvia Xiaolin Xiao, Yu Zhu This paper studies dynamic general equilibrium models where firms trade capital in frictional markets. Gains from trade arise due to ex ante heterogeneity: some firms are better at investment, so they build capital in the primary market; others acquire it in the secondary market. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy JEL Code(s): E, E2, E22, E4, E44